Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 8 7 8
Score 4.43 3.12 4.1
Market Cap (Millions USD) 20824.33 20365.4 20537.08
Predicted Beta 1.86 1.84 1.79
Idiosyncratic Volatility 0.96 1.1 1.07

Annualized return and volatility

IWB
Annualized Return 0.0636
Annualized Std Dev 0.1835
Annualized Sharpe (Rf=0%) 0.3466

Row

Daily Return Statistics

IWB
Observations 5015.0000
NAs 99.0000
Minimum -0.0938
Quartile 1 -0.0043
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0055
Maximum 0.1137
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0116
Skewness -0.0350
Kurtosis 8.4407

Downside Risk

IWB
Semi Deviation 0.0083
Gain Deviation 0.0083
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5538
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0278
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0250
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-19 -0.5538 1137 364 773
2000-09-05 2002-10-09 2006-10-12 -0.4825 1562 534 1028
2018-09-21 2018-12-24 2019-04-12 -0.1973 142 66 76
2015-05-22 2016-02-11 2016-06-02 -0.1425 264 186 78
2018-01-29 2018-02-08 2018-07-25 -0.0997 126 9 117

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWB
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 3.1 0.0 0.6 0.1 0.0 -0.7 -0.4 0 2.7
2001 0.2 -0.1 0.0 1.2 0.6 0.0 0.4 0.0 -0.1 2.0 0.0 0 4.3
2002 -0.4 1.9 0.2 0.7 0.0 -1.7 -3.0 0.0 3.1 2.0 0.0 0 2.7
2003 0.0 0.0 1.5 0.1 0.0 1.0 -1.0 0.0 1.9 0.0 0.9 0 4.4
2004 0.0 0.9 0.7 0.0 0.0 -1.1 0.0 0.1 1.6 0.0 1.4 0 3.7
2005 0.6 0.7 -0.5 0.0 0.9 0.6 -0.1 0.0 0.0 0.0 1.2 0 3.5
2006 0.6 0.7 0.0 -0.4 1.3 0.0 -0.4 0.5 0.0 -0.7 -0.2 0 1.4
2007 0.7 -0.2 0.0 0.2 0.4 0.0 0.7 0.0 1.3 -2.4 0.0 0 0.6
2008 1.4 0.0 3.4 1.8 0.0 0.6 -0.5 0.0 -0.7 0.0 -8.6 0 -3.0
2009 0.0 0.0 2.2 0.6 2.6 0.5 0.0 -2.2 -2.5 0.0 1.2 0 2.2
2010 1.5 1.1 0.6 0.0 -1.8 -0.2 0.0 2.9 0.4 0.1 2.2 0 7.0
2011 1.6 -1.6 0.4 0.0 -2.2 1.5 -0.5 -1.1 0.0 -2.7 -0.1 0 -4.6
2012 1.0 0.7 0.0 0.7 -2.5 0.0 -0.2 0.0 0.2 1.3 0.0 0 1.1
2013 0.9 0.4 -0.4 -0.9 0.0 0.3 1.3 0.0 0.9 0.3 0.0 0 2.9
2014 0.0 0.0 0.7 0.1 0.0 0.7 -0.3 0.0 -1.3 0.0 -0.8 0 -0.8
2015 0.0 0.0 -0.4 1.0 0.2 0.7 0.0 -3.0 0.2 0.0 0.9 0 -0.5
2016 0.0 2.4 0.6 0.0 0.3 0.2 -0.1 0.1 0.0 -0.7 -0.4 0 2.3
2017 0.0 1.4 0.0 0.2 0.8 0.0 0.2 0.2 0.0 0.1 -0.1 0 2.9
2018 0.0 -1.3 0.0 0.2 1.0 0.0 -0.1 0.0 0.3 1.1 0.0 0 1.2
2019 0.2 0.7 1.2 -0.7 0.0 0.9 -0.9 0.0 -1.2 1.0 0.0 0 1.0

Row

Rolling Performance Chart

Snail Trail Chart